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System: MCO
Estimation Method: Least Squares
Date: 02/18/19 Time: 19:31
Sample: 1921 1941
Included observations: 21
Total system (balanced) observations 63
Equation: CONS=C(1)+C(2)*P+C(3)*P(-1)+C(4)*W
Observations: 21
R-squared 0.981008 Mean dependent var 53.99524
Adjusted R-squared 0.977657 S.D. dependent var 6.860866
S.E. of regression 1.025540 Sum squared resid 17.87945
Durbin-Watson stat 1.367474
Equation: I=C(5)+C(6)*P+C(7)*P(-1)+C(8)*K(-1)
Observations: 21
R-squared 0.931348 Mean dependent var 1.266667
Adjusted R-squared 0.919233 S.D. dependent var 3.551948
S.E. of regression 1.009447 Sum squared resid 17.32270
Durbin-Watson stat 1.810184
Equation: WP=C(9)+C(10)*X+C(11)*X(-1)+C(12)*T
Observations: 21
R-squared 0.975537 Mean dependent var 36.36190
Adjusted R-squared 0.971220 S.D. dependent var 6.304401
S.E. of regression 1.069517 Sum squared resid 19.44573
Durbin-Watson stat 1.096979
0 0 0 0 0 0
¿+¿+¿*
[ 0
0
0
0
0
0
0 0 0
0 0 0
−0.09 −0.33 −0.15 0 0 0
0
0
0
−0.11
0
0
0 0 0
0 0 −1
]
ESTIMACION POR MINIMOS CUADRADOS DOS ETAPAS (MC2E)
Equation: CONS=C(1)+C(2)*P+C(3)*P(-1)+C(4)*W
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.979909 Mean dependent var 53.99524
Adjusted R-squared 0.976363 S.D. dependent var 6.860866
S.E. of regression 1.054806 Sum squared resid 18.91447
Durbin-Watson stat 1.450035
Equation: I=C(5)+C(6)*P+C(7)*P(-1)+C(8)*K(-1)
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.930826 Mean dependent var 1.266667
Adjusted R-squared 0.918619 S.D. dependent var 3.551948
S.E. of regression 1.013275 Sum squared resid 17.45434
Durbin-Watson stat 1.746738
Equation: WP=C(9)+C(10)*X+C(11)*X(-1)+C(12)*T
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.975331 Mean dependent var 36.36190
Adjusted R-squared 0.970978 S.D. dependent var 6.304401
S.E. of regression 1.074015 Sum squared resid 19.60964
Durbin-Watson stat 1.016249
REPRESENTACION MATRICIAL DINAMICA DEL MODELO
1 0 0 −1 0 0
[ ] [
−16.231 −9.050 0.979 0 0 0
]
0 1 0 −1 0 −1
−0.810 0 0 0 0 0
0 1 0 1 0 [ 1 Wpu T b G ]
[ Ct It Wpt Xt Pt Kt ]∗ −0.810 0 0 −0.064 0 0 0 [ Ct −1 I t−1 ℘t −1 X t−1 Pt −1 K t−1 ]∗
0 0 −0.484 1 −1 0
0 0 0 0 1 0
−0.102 −0.514 0 0 1 0
0 0 0 −1 0 0
0 0 0 0 0 1
1 0 0 −1 0 0
[ 0
Γ = −0.810
0
1
0
0
−0.102 −0.514
0 0
0 −1 0 −1
1 0 1 0
−0.484 1 −1 0
0
0
0
0
1
0
0
1
]
0 0 0 0 0 0
[ ]
−16.231 −9.050 0.979 0 0 0
[ ]
0 0 0 0 0 0
−0.810 0 0 0 0 0
0 0 0 0 0 0
∆ 1= 0 0 −0.064 0 0 0 ∆ 2=
0 0 −0.135 0 0 0
0 0 0 0 1 0
−0.147 −0.303 0 0 0 0
0 0 0 −1 0 0
0 0.106 0 0 0 −1
Equation: CONS=C(1)+C(2)*P+C(3)*P(-1)+C(4)*W
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.978309 Mean dependent var 53.99524
Adjusted R-squared 0.974481 S.D. dependent var 6.860866
S.E. of regression 1.096003 Sum squared resid 20.42079
Durbin-Watson stat 1.371661
Equation: I=C(5)+C(6)*P+C(7)*P(-1)+C(8)*K(-1)
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.929417 Mean dependent var 1.266667
Adjusted R-squared 0.916961 S.D. dependent var 3.551948
S.E. of regression 1.023548 Sum squared resid 17.81007
Durbin-Watson stat 1.711422
Equation: WP=C(9)+C(10)*X+C(11)*X(-1)+C(12)*T
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.975233 Mean dependent var 36.36190
Adjusted R-squared 0.970862 S.D. dependent var 6.304401
S.E. of regression 1.076150 Sum squared resid 19.68766
Durbin-Watson stat 0.941665
1 0 0 −1 0 0
[ ] [ [
−15.911 −7.186 0.776 0 0 0
]
0 1 0 −1 0 −1
−0.845 0 0 0 0 0
0 1 0 1 0 [ 1 Wpu T b G ]
[ Ct It Wpt Xt Pt Kt ]∗ −0.845 0 0 −0.023 0 0 0 [ Ct −1 I t−1 ℘t −1 X t−1 Pt −1 K t−1 ]∗
0 0 −0.481 1 −1 0
0 0 0 0 1 0
−0.080 −0.539 0 0 1 0
0 0 0 −1 0 0
0 0 0 0 0 1
1 0 0 −1 0 0
Γ=
[ 0
−0.845
0
1
0
0
−0.080 −0.539
0 0
0 −1 0 −1
1 0 1 0
−0.481 1 −1 0
0
0
0
0
1
0
0
1
] 0 0 0 0 0 0
[ ]
−15.911 −7.186 0.776 0 0 0
[ ]
0 0 0 0 0 0
−0.845 0 0 0 0 0
0 0 0 0 0 0
∆ 1= 0 0 −0.023 0 0 0 ∆ 2=
0 0 −0.139 0 0 0
0 0 0 0 1 0
−0.102 −0.271 0 0 0 0
0 0 0 −1 0 0
0 0.097 0 0 0 −1
System: MV
Estimation Method: Full Information Maximum Likelihood (BFGS / Marquardt
steps)
Date: 02/18/19 Time: 19:32
Sample: 1921 1941
Included observations: 21
Total system (balanced) observations 63
Convergence achieved after 110 iterations
Coefficient covariance computed using outer product of gradients
Equation: CONS=C(1)+C(2)*P+C(3)*P(-1)+C(4)*W
Observations: 21
R-squared 0.396091 Mean dependent var 53.99524
Adjusted R-squared 0.289519 S.D. dependent var 6.860866
S.E. of regression 5.783025 Sum squared resid 568.5375
Durbin-Watson stat 0.336861
Equation: I=C(5)+C(6)*P+C(7)*P(-1)+C(8)*K(-1)
Observations: 21
R-squared 0.928154 Mean dependent var 1.266667
Adjusted R-squared 0.915475 S.D. dependent var 3.551948
S.E. of regression 1.032665 Sum squared resid 18.12876
Durbin-Watson stat 1.819948
Equation: WP=C(9)+C(10)*X+C(11)*X(-1)+C(12)*T
Observations: 21
R-squared 0.942353 Mean dependent var 36.36190
Adjusted R-squared 0.932180 S.D. dependent var 6.304401
S.E. of regression 1.641814 Sum squared resid 45.82438
Durbin-Watson stat 0.367796
0 0 0 0 0 0
¿+¿+¿*
0
0
[ 0
0
0
0
0 0 0
0 0 0
0.0032 −0.38 −0.093 0 0 0
0
0
0
0.14
0
0
0 0 0
0 0 −1
]
+ + [ e 1 e 2 e 3 0 0 0 ] =0
1 0 0 −1 0 0
δ=
[ 0
−1.64
0
1
0
0
1.15 −0.42
0 0
0
1
−1 0 −1
0 −1 0
−2.47 1 −1 0
0
0
0
0
0
]
0
0
[
−1.64
∆ 1= 0
0
0
0
0
0
0.51
0
0
0
0
0
−1
0
0
1
0
]
0 0 0 0 0 0
[
∆ 2= 0
0
0
0
0
0
0
0.14
0
0
0
0
0 0 0
0 0 0
0.0032 −0.38 −0.093 0 0 0
0 0 0
0 0 −1
]